What is a box spread?

A box spread is a combination of four European-style options (two calls, two puts) on the same index that together form a synthetic, fully-collateralised loan. The implied rate is what the market is willing to lend at against your portfolio.

How is the box-spread yield curve computed?

We derive the implied rate from daily settlement prices across all liquid SPX and Euro Stoxx 50 box-spread tenors. The curve refreshes after market close and shows market-implied financing rates from 1 to 36 months.

Which brokers support box spreads?

Tier 1: Interactive Brokers, Schwab (thinkorswim), Fidelity, E*TRADE, tastytrade, TradeStation, Tradier. Tier 2: Webull, Moomoo, Public. For ESTX50 in Europe, Interactive Brokers, Saxo, and Lynx are the common venues.

What about the €20,000 cap on derivative losses?

It's gone. The Jahressteuergesetz 2024 retroactively struck §20 Abs. 6 Satz 5 EStG — the rule that had capped Termingeschäft loss offsets at €20,000/year inside a segregated bucket. Box-spread carry now offsets your general Kapitalerträge — dividends, interest, ETF distributions, fund capital gains — at the 26.375% Abgeltungsteuer rate, with no cap. Direct single-stock losses still sit in their own bucket; that part of §20 Abs. 6 is unchanged.

Box-spread yield curve

Implied financing rates from S&P 500 and Euro Stoxx 50 box spreads, marked daily. As of 29 Sep 2026

Monitored boxes · SPX

$128,089 avg 4.87% yield

Monitored boxes · ESTX50

€327,266 avg 2.72% yield

Amount EUR

€

Tenor 12m

2m3m5m6m9m12m15m18m21m24m29m36m

Strike width pts

Wider = fewer contracts. Auto fits your amount.

From the end-of-day EUR curve.

Implied rate · 12m EUR

3.13%

After tax: 2.30%

Cash today Target €100,000 · 1.69%: €101,693
Implied cost (12m): €3,307
Settlement at expiry: €105,000
After-tax settlement: €104,128

In plain terms You receive €101,693 today and repay €105,000 on 15 Oct 2027 — a total cost of €3,307.

Last traded Nothing traded at these strikes. The last print on this expiry was 5500/7000 on 25 Sep 2026 at 3.370%. Different width, so the rate is comparable but the price is not.

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4-leg structure ESTX50 · EUREX

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Action	Right	Strike	Qty
BUY	CALL	••••	••
SELL	CALL	••••	••
BUY	PUT	••••	••
SELL	PUT	••••	••

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Use cases

A · Property

Box vs. realize vs. all cash

10-year wealth comparison for the down-payment.

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B · Portfolio leverage

Box-leveraged vs. unleveraged

Leverage pays the moment portfolio return beats the box rate.

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C · Decumulation

Living off the portfolio — sell or box?

Sell shares or roll a box line? Compounded across decades.

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D · Bridge

Closing the flat-to-flat gap

A short box line vs. the bank's 7% bridge loan.

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Real box prints

All prints → Liquidity tracker →

Executed (UTC)	Index	Expiry	Strikes	Contracts	Notional	Implied rate
29 Sep 21:41:35	SPX	15 Jan 2027	7000/8000	250	$24,646,250	4.93%
29 Sep 21:39:32	SPX	17 Dec 2027	7000/8000	500	$46,970,000	5.27%
29 Sep 18:38:00	SPX	16 Oct 2026	7000/8000	300	$29,967,900	2.33%
29 Sep 18:38:00	SPX	15 Jan 2027	7000/8000	300	$29,607,000	4.56%
29 Sep 17:14:50	SPX	16 Oct 2026	7000/8000	1130	$112,764,960	4.57%
29 Sep 17:11:29	SPX	16 Oct 2026	7000/8000	900	$89,812,800	4.57%
29 Sep 16:59:16	ESTX50	17 Dec 2027	6000/7000	29	€278,429	3.40%
29 Sep 16:51:17	ESTX50	17 Dec 2027	6000/7000	28	€270,536	2.87%
29 Sep 15:57:11	ESTX50	17 Sep 2027	5000/7000	1	€19,400	3.20%
29 Sep 15:54:43	ESTX50	17 Sep 2027	5000/7000	3	€58,185	3.23%
This month — volume · avg yield					€10,342,885,417 $12,841,209,387	2.86% 5.02%

Four-leg combo executions detected in the options trade tape. Clean boxes only; prior-session data.

What's a box spread?

Four options that combine into a fully-collateralised loan. The implied rate is what the market lends at against your portfolio.

Mechanics
Tax in DE
Risk + margin

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Roll alerts — before expiry, with the roll-into rate
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Rate history per tenor
Running cost across every box — pre- and after-tax
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